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Econometric analysis of the sequential probit model with an application to innovation surveys

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  • Patrick Waelbroeck

Abstract

We study the role of information sources on innovation in a two stage sequential probit model that can be used to analyze survey data in which questions are asked sequentially. Firms can fall into three catagories: (i) they do not innovation; (ii) they introduce a radical innovation on their market; (iii) they imitate an existing innovation. We estimate parameters of this model in a classical framework in which multiple intergrals that arise in the likelihood function are estimated by simulation and in a Bayesian framework in which we use the latent variable structure of the model to implement an operational Gibbs sampler. We show that information sources globally influence the way by which a firm innovates, and we associate a specific information network to each mode of innovation.

Suggested Citation

  • Patrick Waelbroeck, 2001. "Econometric analysis of the sequential probit model with an application to innovation surveys," Computing in Economics and Finance 2001 99, Society for Computational Economics.
    • Handle: RePEc:sce:scecf1:99
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    More about this item

    Keywords

    Sequential probit; simulation methods;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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